运用国债期货进行套期保值的研究.doc

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摘要:在我国利率逐渐走向市场化的今天,市场参与者所面临的利率波动风险也是前所未有的。国债期货作为最为基础、运用最广的利率期货之一,很好地弥补了过去我国缺乏相应的利率期货导致市场参与者无法很好地启动风险规避机制的情况。国债期货的推出使得市场参与者,尤其是大型金融机构提供了有效的避险工具,保障了其资金安全。本文采用理论研究与实证分析相结合的方法,利用文献资料和计量软件对国债期货套期保值中的相关因素进行了较为详细的研究,如:套期保值理论、国债期货套期保值的相关原则、期货合约选择和套期保值比率等。由于我国金融期货市场的发展还处于初级阶段,金融期货最基本的功能之一——套期保值的运用仍不成熟。本文以2013年9月6日重新回归的国债期货为例进行研究,对于市场参与者在期货市场中了解和实践套期保值理论具有一定的指导性意义。

关键词:国债期货 套期保值 套期保值比率 OLS模型 ECM模型

 

Abstract: At present, as our country's interest rates gradually move in market, the risks of interest rate fluctuations faced by market participants to is unprecedented. Treasury futures, as the most basic, one of the most widely used interest rate futures; perfectly complement to market participants cannot start the risk aversion mechanism caused by the shortage appropriate interest rate futures in our country. The introduction of treasury futures provides the market participants, particularly large financial institutions an effective hedging tool to protect their financial security. In this paper, combine the methods of theoretical research and empirical analysis, use literature information and measurement software to have a detailed study for the relevant factors of the , such as: hedging theory , the relevant principles of treasury bond futures hedging , options for futures contracts and hedge ratios, etc. Since the development of China's financial futures market is still in its infancy, one of the most basic functions of financial futures - the use of hedging is still not mature. In this paper, use the re- return treasury futures in Sept. 6, 2013 as the example to do the research, it has a certain guiding significance for market participants to understand the theory and practice of hedging theory in the futures market.

Key words: Treasury future  hedging  hedging ratio  OLS model  ECM model


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